Emerging markets are going through the most disruptive period since the collapse of Lehman Brothers Holdings Inc. in 2008 based on the rise in equity, currency and rates volatility, according to the JPMorgan unit’s report titled “Fed Tapering: Who is Afraid of EM Selloff? We Are!”

The swings in the market may cause a “material slowdown” in emerging market fixed-income revenues with volumes “drying up,” Cazenove analysts including Kian Abouhossein in London wrote.

Cazenove said it’s more concerned about Standard Chartered and HSBC because of higher revenues related to emerging markets. It’s in “wait-and-see” mode for European banks with lending or earnings in Brazil, South Africa and Mexico, including Banco Santander SA and Banco Bilbao Vizcaya Argentaria SA, according to the report.

Standard Chartered spokesman Jon Tracey declined to comment as did Paul Tobin, a Madrid-based spokesman for BBVA and HSBC spokeswoman Archana Achuthan. A spokesman for Santander wasn’t immediately available to comment.

Brazil, Rand

Emerging market government bonds in dollars slumped 3.5% in May, the most in at least three years, according to the Bloomberg USD Emerging Market Sovereign Bond Index. Brazilian government local-currency bonds lost the most since October 2008 last month, according to JPMorgan’s GBI-EM Broad Brazil LOC Unhedged Index. South Africa’s rand has plunged 15% against the dollar this year.

“Fed communication about tapering is a concern leading us to put new money only” in UBS AG among global investment banks, the analysts wrote. Credit Suisse Group AG and Royal Bank of Scotland Group Plc are the “most exposed to a slowdown in the securitization market,” according to the report.

Cazenove sees December as the most likely period for the first tapering by the Fed, though “if the labor market continues to improve as in the last six months, we would anticipate September for a first tapering,” the analysts wrote.

U.S. jobless claims declined last week, according to Labor Department figures today, before a report tomorrow projected to show payrolls increased.

“Global investment bank revenues remain exposed to this high volatility in emerging market” foreign exchange and debt, the analysts wrote. “We are less concerned about second-quarter mark-to-market losses but our focus is more on the potential long-term revenue at risk in an ongoing emerging markets selloff.”